Basel II規定新的風險管理計算方式,包含:信用風險、市場風險、作業風險。因此,當我們在計算市場風險時,必須預測在99%信賴區間下明天最大可能損失。 本文將運用GARCH模型計算台灣五十指數型基金的風險值,運用GARCH預測下一期指數收盤價報酬的波動率與機率。 首先,用GARCH模型計算指數報酬的波動率;其次,運用波動率估計其風險值;再者,將預測的風險值與實際損失比較;最後,解釋實證結論。 實證結果顯示:GARCH模型能準確的估計風險值。
The new risk management rules regulated in the documents published by Basel II, consist of Market Risk, Credit Risk, and Operational Risk. Therefore, we must predict the maximum loss on 99% confidence interval tomorrow when we need to estimate Market Risk. This paper made use of GARCH model for Market Risk of TSEC Taiwan 50 Index, to forecast the volatility of index series for the next period and the probability associated with the closing price. In the first, I calculate the volatility of GARCH model in the return of index. In the second, it is presented the estimation of VaR associated with the volatility forecasted. In the third, it is compared with actuality loss. Finally in the last, there are the conclusions arrived. The empirical results prove that VaR can be estimated exactly right by GARCH model.